Testing the Long-Memory Features in Return and Volatility of NSE Index

Abstract

Long-term memory of stock markets is a topic that has not received its due attention from academics. Posting the assertion made by Fama, 1970 [1] about markets being efficient, no one can consistently outrun it for a longer duration. Handful of papers checked the efficiency in emerging markets to see if the efficiency proposition held true. Furthering the literature in this study we test for the long-term memory of National Stock Exchange (NSE) index, Nifty and NSE_500 which are a collection of 50 and 500 listed firms respectively in India. The duration of the data for study is roughly eight years over the period from 2006-06-29 to 2012-09-13, a total of 1545 observations. We observe that long-term memory does exist in the context of Indian stock market index.

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Ahamed, N. , Kalita, M. and Tiwari, A. (2015) Testing the Long-Memory Features in Return and Volatility of NSE Index. Theoretical Economics Letters, 5, 431-440. doi: 10.4236/tel.2015.53050.

Conflicts of Interest

The authors declare no conflicts of interest.

References

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